Filtering a nonlinear stochastic volatility model

被引：10

作者：

Elliott, Robert J. ^{[1
]}

Siu, Tak Kuen ^{[2
]}

Fung, Eric S. ^{[3
]}

机构：

[1] Univ Calgary, Haskayne Sch Business, Calgary, AB, Canada

[2] Macquarie Univ, Dept Appl Finance & Actuarial Studies, Fac Business & Econ, Sydney, NSW 2109, Australia

[3] Hong Kong Baptist Univ, Dept Math, Hong Kong, Hong Kong, Peoples R China

来源：

NONLINEAR DYNAMICS | 2012年 / 67卷 / 02期

关键词：

Stochastic volatility; Nonlinear dynamical system; Economic cycles; Nonlinear filters; Change of measures; Reference probability; VARIANCE; OPTIONS; PERSISTENCE;

D O I：

10.1007/s11071-011-0069-4

中图分类号：

TH [机械、仪表工业];

学科分类号：

0802 ;

摘要：

We introduce a class of stochastic volatility models whose parameters are modulated by a hidden nonlinear dynamical system. Our aim is to incorporate the impact of economic cycles, or business cycles, into the long-term behavior of volatility dynamics. We develop a discrete-time nonlinear filter for the estimation of the hidden volatility and the nonlinear dynamical system based on return observations. By exploiting the technique of a reference probability measure we derive filters for the hidden volatility and the nonlinear dynamical system.

引用

页码：1295 / 1313

页数：19

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